A comparison of the efficiencyon selected analytical methods in debt prediction

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A comparison of the efficiencyon selected analytical methods in debt prediction

Journal Title: Zeszyty Naukowe Wyższej Szkoły Bankowej w Poznaniu - Year 2016, Vol 66, Issue 1

Abstract

The aim of the article is to compare selected discriminant models and the bankruptcy chance measure in credit risk evaluation. To this end, the following elements shall be employed: the classification matrix and Brier score. The outcomes of the analyses shall be confronted with a credit risk synthetic analysis performed by banks, which takes the form of the bank liability qualification from a given entity to the appropriate liability category. The analysis shall be performed with the use of financial data of 77 service providers housed within the Wielkopolskie voivodeship. The study results indicate that the degree of convergence in bank ratings related to credit risk, with indications of discriminant analysis models (88-94%), is higher than in the case of using a modified bankruptcy chance meter. In the latter case, the convergence with the bank rating amounts to 70%.

Authors and Affiliations

Angelika Sabuhoro

Keywords

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EP ID EP213050
DOI -
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